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Impact of Czech intraday market on the electricity prices
Béreš, Samuel ; Krištoufek, Ladislav (advisor) ; Valíčková, Petra (referee)
We analyse Czech intraday market for electricity and its impact on day- ahead prices. We inspect effect of fundamental drivers of price deviation between intraday and day-ahead market in form of positive and negative forecast errors and examine intraday price's role in explaining next trading period's day-ahead price. Our findings suggest photovoltaic and load fore- cast errors to be most statistically significant fundamental factors, together with autoregressive term and day-ahead price, determining intraday market price deviation from day-ahead. Variables' influences on intraday market are in accordance with hypothesised expectations, except for the effect of export and excessive import of electricity to and from German TSO, 50 Hertz, and extreme day-ahead prices. We confirmed symmetric effects of forecast errors on intraday price for all observed variables. In the second part, intraday prices are found to be statistically significant factor affecting next day's day-ahead market price. The results support the conclusion that Czech spot market for electricity possesses mean-reverting properties. Keywords electricity, intraday market for electricity, price modeling
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